A not-uncommon situation in the US is when there are two decently large cities that are so near to each other (often only a few miles/km apart) that they're often considered a single unit by the rest of the country. Generally the people from these cities will insist "no, they're totally separate places" but most of the rest of the country refers to them as one place.
Examples include Minneapolis-St. Paul (often referred to specifically as the Twin Cities), Dallas-Fort Worth, San Francisco-Oakland, and historically New York-Brooklyn (New York City and Brooklyn combined into one city in the 1890s but were separate before then.)
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Nicosia in Cyprus probably counts in some ways of seeing things.
Maybe Leeds Bradford in the UK. But we don’t call them twin cities, we just try to pretend Bradford doesn’t exist.
Obviously not European but I’m flying to Poland for vacation tomorrow (and to see some of my wife’s extended family), and Gdansk-Gdynia are the perfect example of this. In fact plus the beach resort Sopot they’re known as the tri-cities.
In Poland there actually is a Tri-City: Gdańsk-Sopot-Gdynia.
We have lots of “small” cities that grow around big cities.
Examples: Badalona, L’Hospitalet, Sabadell, Terrassa, Getafe, Alcorcón, Leganés…